Stochastic Calculus for Finance
£36.99
Part of Mastering Mathematical Finance
- Authors:
- Marek Capiński, AGH University of Science and Technology, Krakow
- Ekkehard Kopp, University of Hull
- Janusz Traple, AGH University of Science and Technology, Krakow
- Date Published: August 2012
- availability: Available
- format: Paperback
- isbn: 9780521175739
£
36.99
Paperback
Other available formats:
Hardback, eBook
Looking for an inspection copy?
This title is not currently available on inspection
-
This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black–Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
Read more- Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
- Gives students confidence in Itô calculus
- Solutions to exercises are available online
Reviews & endorsements
'… a very accessible and comprehensive introduction.' Robert Stelzer, Mathematical Reviews
Customer reviews
Not yet reviewed
Be the first to review
Review was not posted due to profanity
×Product details
- Date Published: August 2012
- format: Paperback
- isbn: 9780521175739
- length: 186 pages
- dimensions: 228 x 152 x 13 mm
- weight: 0.32kg
- contains: 6 b/w illus. 85 exercises
- availability: Available
Table of Contents
Preface
1. Discrete time processes
2. Wiener process
3. Stochastic integrals
4. Itô formula
5. Stochastic differential equations
Index.-
Find resources associated with this title
Type Name Unlocked * Format Size Showing of
This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.
Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.
Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.
If you are having problems accessing these resources please contact lecturers@cambridge.org.
Instructors have used or reviewed this title for the following courses
- Actuarial Science
- Financial Analysis and Management
- Options and Derivatives
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org
Register Sign in» Proceed
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.
Continue ×Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.
×